Row
Rank
Predicted Beta
Idiosyncratic Volatility
Row
Annualized return and volatility
| Close | |
|---|---|
| Annualized Return | -0.0269 |
| Annualized Std Dev | 0.2673 |
| Annualized Sharpe (Rf=0%) | -0.1006 |
Row
Daily Return Statistics
| Close | |
|---|---|
| Observations | 3356.0000 |
| NAs | 1.0000 |
| Minimum | -0.1561 |
| Quartile 1 | -0.0080 |
| Median | 0.0002 |
| Arithmetic Mean | 0.0000 |
| Geometric Mean | -0.0001 |
| Quartile 3 | 0.0080 |
| Maximum | 0.1569 |
| SE Mean | 0.0003 |
| LCL Mean (0.95) | -0.0005 |
| UCL Mean (0.95) | 0.0006 |
| Variance | 0.0003 |
| Stdev | 0.0168 |
| Skewness | -0.2548 |
| Kurtosis | 11.1205 |
Downside Risk
| Close | |
|---|---|
| Semi Deviation | 0.0121 |
| Gain Deviation | 0.0120 |
| Loss Deviation | 0.0128 |
| Downside Deviation (MAR=210%) | 0.0168 |
| Downside Deviation (Rf=0%) | 0.0121 |
| Downside Deviation (0%) | 0.0121 |
| Maximum Drawdown | 0.7778 |
| Historical VaR (95%) | -0.0243 |
| Historical ES (95%) | -0.0393 |
| Modified VaR (95%) | -0.0251 |
| Modified ES (95%) | -0.0397 |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2011-01-04 | 2020-03-18 | NA | -0.7778 | 2570 | 2316 | NA |
| 2008-04-08 | 2008-10-10 | 2009-12-11 | -0.5297 | 426 | 131 | 295 |
| 2007-12-10 | 2008-01-23 | 2008-03-12 | -0.2004 | 64 | 30 | 34 |
| 2010-01-20 | 2010-05-25 | 2010-07-20 | -0.1434 | 126 | 88 | 38 |
| 2007-11-19 | 2007-11-26 | 2007-11-30 | -0.0716 | 9 | 5 | 4 |
Row
Monthly and Calendar Year Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Close | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2007 | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | 1.9 | -0.2 | 1.6 |
| 2008 | 0.1 | -2.6 | 0.5 | 0.4 | -0.5 | -3.4 | -0.4 | 0.1 | -2.5 | 2.2 | -10.1 | 1.5 | -14.4 |
| 2009 | -0.4 | 0.6 | -0.2 | 1.5 | 2.7 | 0 | -0.1 | -2.8 | -1.6 | -3.2 | 1.8 | -1 | -2.9 |
| 2010 | 1.7 | -1.4 | 1.1 | 1.1 | -1 | 0.1 | 0.1 | 3.2 | 0.7 | 0.3 | 0.7 | 0.6 | 7.6 |
| 2011 | 2 | -1.4 | 2.5 | 1.3 | -0.9 | 0.5 | 2 | -0.4 | -2.9 | -3.2 | -1.3 | 0.5 | -1.6 |
| 2012 | 2.4 | 0.7 | 0.5 | 0.7 | -2.1 | 3.4 | -2.4 | 0.7 | 0.1 | 1.4 | -0.2 | 1.2 | 6.4 |
| 2013 | 0.3 | 0.4 | -0.9 | -1 | 0.5 | -1.2 | 2.5 | 1.7 | 1.7 | 0 | 1.1 | 1.1 | 6.4 |
| 2014 | -0.5 | 0.2 | 0.8 | 0.8 | -1.2 | 0.4 | 0.8 | 1.3 | -1.3 | 0.6 | -1.4 | 0.1 | 0.6 |
| 2015 | -1.8 | 1 | 1.7 | 1 | -1.3 | -1.4 | 2.1 | -1.4 | -0.2 | -0.4 | -0.7 | -0.7 | -2.2 |
| 2016 | 0.6 | 2.7 | 0.2 | 0.6 | -0.2 | 0.9 | -1.2 | 0.2 | -0.2 | -0.4 | -0.4 | -0.6 | 2.1 |
| 2017 | 0.2 | 1.3 | -0.5 | 0 | 1.2 | 0.2 | 0 | 0.7 | 0.4 | 0.3 | 0.5 | -0.3 | 4 |
| 2018 | 0.4 | -1.4 | 2.2 | -1.2 | 0.1 | 0.6 | -1.6 | -0.2 | 0 | 4.3 | -1.2 | 0.2 | 2.1 |
| 2019 | 0.1 | -0.7 | 2.2 | -1.3 | -0.4 | -0.4 | -1.3 | 2.4 | -0.5 | 2 | -1.2 | 0.7 | 1.5 |
| 2020 | -0.5 | -2.3 | -2.9 | -2.1 | 3.4 | 2.7 | 0.6 | -0.4 | -0.3 | -0.5 | 4.9 | -0.6 | 1.5 |
| 2021 | 2 | 3.3 | 0.2 | NA | NA | NA | NA | NA | NA | NA | NA | NA | 5.5 |
Row
Price Chart
Row
Rolling Performance Chart
Row
Snail Trail Chart
